Author(s)

Meilin Ouyang ¹

Affiliation(s)

¹ College of Mathematics and Statistics, Chongqing Jiaotong University, Chongqing, 400074, China

Corresponding Author

Meilin Ouyang

ABSTRACT

Market traders buy and sell volatile assets frequently, with a goal to maximize their total return. we conduct a single factor sensitivity analysis on transaction costs, commissions, for our model. Firstly, keeping the output result of the portfolio strategy model unchanged, we solve the reference value range of commissions. Secondly, we use ablation study to obtain the relative sensitivity of commission of gold and bitcoin to the portfolio strategy model. The results show that the reference value range of gold commission and bitcoin commission are [0.96%, 7.22%] and [1.89%, 4.36%] respectively, and the model is more sensitive to the transaction costs of bitcoin than gold. we communicate with traders by memorandum about the structure of our model, the method of use, the robustness of the model, the solution results and gave suggestions on how to use the model.

KEYWORDS

LSTM, Quantitative trading, Portfolio Optimization, MV, Portfolio Investment

CITE THIS PAPER

Meilin Ouyang, A MV Portfolio Investment Strategy Model based on Economic Indicators. Financial Engineering and Risk Management (2022) Vol. 5: 22-29. DOI: http://dx.doi.org/10.23977/ferm.2022.050404.

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